Momentum · month-end rule · Industrials & materials
12-1 Momentum on Russel Metals
What the play says
Latest reading: 12-1 return 82.8%
RUS with the play, last two years
Shading shows the play's call from the close that triggered it.
Return from 12 months to 1 month ago
Dashed line at 0.
Growth of C$10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding RUS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.2% | +14.8% | +20.4% | +28.5% |
| Total return | +1,350% | +1,863% | +152% | +248% |
| Worst drawdown | −37.3% | −67.4% | −32.7% | −31.1% |
| Volatility | 22.1% | 30.5% | 24.0% | 27.3% |
| Sharpe ratio | 0.59 | 0.55 | 0.74 | 0.92 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 15 of 22 closed calls (68%). In calls averaged +21.5%; out calls saw RUS move +4.9% on average.
| Called | Call | Price | Until | RUS moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$42.84 | now | +114.4% | open |
| Nov 28, 2025 | OUT | C$39.91 | Dec 31, 2025 | +7.4% | ✕ wrong |
| Apr 30, 2025 | IN | C$37.93 | Nov 28, 2025 | +5.2% | ✓ right |
| Jan 31, 2025 | OUT | C$38.17 | Apr 30, 2025 | −0.6% | ✓ right |
| Aug 30, 2024 | IN | C$35.00 | Jan 31, 2025 | +9.1% | ✓ right |
| Jul 31, 2024 | OUT | C$36.91 | Aug 30, 2024 | −5.2% | ✓ right |
| Feb 28, 2023 | IN | C$31.06 | Jul 31, 2024 | +18.8% | ✓ right |
| Jun 30, 2022 | OUT | C$21.91 | Feb 28, 2023 | +41.8% | ✕ wrong |
| Dec 31, 2020 | IN | C$17.80 | Jun 30, 2022 | +23.1% | ✓ right |
| Feb 28, 2020 | OUT | C$14.48 | Dec 31, 2020 | +22.9% | ✕ wrong |
| Dec 31, 2019 | IN | C$15.99 | Feb 28, 2020 | −9.4% | ✕ wrong |
| Oct 31, 2018 | OUT | C$16.14 | Dec 31, 2019 | −0.9% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 23 calls shown.
How the play works
- In at month-end when the return from 12 months ago to 1 month ago is above zero.
- Out when it is zero or below.
Jegadeesh and Titman ranked thousands of stocks and bought the winners. Testing one stock against zero is time-series momentum, a related idea.
The skip-a-month form came later; their 1993 paper skipped at most a week.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.